
Changes for QuantLib 0.9.6:

Version 0.9.6 is a bug-fix release for QuantLib 0.9.5.  It fixes a bug
that would cause bootstrapped term structures to silently switch to
linear interpolation when log-linear was requested.


Notable changes for QuantLib 0.9.5:

CREDIT FRAMEWORK

New credit framework due to the joint efforts of StatPro Italia,
Roland Lichters, Chris Kenyon, and Jose Aparicio. The framework
currently include:

- Interface for default-probability term structure and adapters for
  hazard-rate and default-density structures.
- Flat hazard-rate curve.
- Interpolated hazard-rate and default-density curves.
- Credit-default swaps (mid-point and integral engines.)
- Bootstrapped piecewise default-probability curve.
- CDS example.

PORTABILITY

- Added support for Microsoft Visual C++ 2008 (Boost 1.35 is required
  for this compiler.)
- Fixes for Cygwin build.

EXPERIMENTAL FOLDER

The new ql/experimental folder contains code which is still not fully
integrated with the library, but is released in order to get user
feedback.  Experimental classes are considered unstable; their
interfaces are likely to change in future releases. The folder
currently include:

- Generic MC basket option (thanks to Andrea Odetti.)
- CDS option (thanks to Roland Stamm.)
- Nth-to-default swap (thanks to Roland Lichters.)
- Extended Black-Scholes-Merton process (thanks to Frank Hövermann.)
- Quanto-adjusted coupons and averaged coupons (thanks to Toyin Akin.)
- Callable bonds (thanks to Allen Kuo.)
- New framework for volatility term structures.
- Sensitivity analysis functions.

CALENDARS

- Added 2008 holidays for China, India, Indonesia, Singapore, and Taiwan.
- Added one-off holiday (President Reagan's and Ford's funerals) to
  NYSE calendar.
- Fixed South Korea calendar (thanks to Charles Chongseok Hyun.)

CURRENCIES

- Added Peruvian currency.

DATES

- Added date-generation rules for CDS schedules (i.e., rolling to the
  20th of the month.)

INDEXES

- Added SEK LIBOR index.

INSTRUMENTS

- Ported Himalaya and Everest options to pricing-engine framework
  (thanks to the IMAFA students at Polytech'Nice Sophia: Jérôme Bessi,
  Sébastien Bonifaci, Benjamin Degerbaix and Renaud Pentel.)

MATH

- Added matrix determinant.
- Added QR matrix decomposition.
- Added a number of copulas (thanks to Marek Glowacki.)
- Added constrained cubic spline.
- Implemented derivative and second derivative of log-interpolations.
- Added Gauss-Lobatto integration.
- Added student-t distribution (thanks to Roland Lichters.)

MODELS

- Added calibrated GJR-GARCH model (thanks to Yee Man Chan.)
- Added Feller constraint to Heston model.

PRICING ENGINES

- Refactored variance-swap engines (the underlying stochastic process
  is now passed to the pricing engine.)
- Added GJR-GARCH pricing engines for vanilla options (thanks to Yee
  Man Chan.)

PROCESSES

- Added Euler end-point discretization (thanks to Frank Hövermann.)
- Added GJR-GARCH process (thanks to Yee Man Chan.)
- Added Bates process.

TERM STRUCTURES

- Added turn-of-year effect to yield-curve bootstrapping (generalized
  to multiple jumps at arbitrary dates.)
- Added local bootstrap of forward rates (thanks to Simon Ibbotson.)
- Disabled copies of interpolated curves (the existing behavior was
  incorrect. A fix to re-enable copying will be included in a future
  release.)

VOLATILITY

- Added constant cap/floor term volatility structure.
- Added stripped optionlet.

